Q. Re: Did Jesus Say It Or Just Paul. You list incest as a sin prohibited in both old and new testaments. Is cousin marriage a sin? If so, then almost all of the royal couples of England and Germany, and others as well, were incestuous.
A. Leviticus 18:6-20 approaches this only from the male perspective and mentions mothers, stepmothers, children, stepchildren, grand children, sisters, stepsisters, aunts, and nieces as forbidden sex partners, as were the spouses of parents, siblings and children. I assume that the same exclusions applied to the female gender as well. Examples of this prohibition being repeated in the New Testament are the illicit marriage of Herod Antipas and his niece/sister-in-law Herodias (Matt. 14:3-4) and a forbidden relationship between a man and his stepmother (1 Cor. 5:1).
Partly due to the increased potential for mental disorders, the marriage of close cousins is forbidden by law in some countries, but this came much later and is not in the Bible.